Search
Search Results
-
High-dimensional inference using the extremal skew-t process
Max-stable processes are a popular tool for the study of environmental extremes, and the extremal skew- t process is a general model that allows for a...
-
Robust quantile estimation under bivariate extreme value models
In risk quantification of extreme events in multiple dimensions, a correct specification of the dependence structure among variables is difficult due...
-
Modeling extreme negative returns using marked renewal Hawkes processes
Extreme return financial time series are often challenging to model due to the presence of heavy temporal clustering of extremes and strong bursts of...
-
Higher order asymptotic behaviour of partial maxima of random sample from generalized Maxwell distribution under power normalization
In this article, the higher order asymptotic expansions of cumulative distribution function and probability density function of extremes for...
-
Ridge regression estimators for the extreme value index
We consider bias reduced estimators of the extreme value index (EVI) in case of Pareto-type distributions and under all max-domains of attraction. To...
-
On Extremes of Two-Dimensional Student-t Distribution of the Marshall–Olkin Type
Although there are some results related to classical bivariate Student- t distribution, studying the exact distribution of its extremes is not so...
-
On tail dependence matrices
Among bivariate tail dependence measures, the tail dependence coefficient has emerged as the popular choice. Akin to the correlation matrix, a...
-
Managing local dependencies in asymptotic theory for maxima of stationary random fields
In the paper we solve the limit problem for partial maxima of m -dependent stationary random fields and we extend the obtained solution to fields...
-
Estimation and test of restricted linear EV model with nonignorable missing covariates
This paper deals with estimation and test procedures for restricted linear errors-invariables (EV) models with nonignorable missing covariates. We...
-
Multiple thresholds in extremal parameter estimation
Selecting the number of upper order statistics to use in extremal inference or selecting the threshold above which we perform the extremal inference...
-
The Joint Distribution of Running Maximum of a Slepian Process
Consider the Slepian process S defined by S ( t ) = B ( t + 1) − B ( t ), t ∈ [0, 1] with B ( t ), t ∈ ℝ a standard Brownian motion. In this contribution we...
-
Consistency of Hill estimators in a linear preferential attachment model
Preferential attachment is widely used to model power-law behavior of degree distributions in both directed and undirected networks. Statistical...
-
Extremal dependence of random scale constructions
A bivariate random vector can exhibit either asymptotic independence or dependence between the largest values of its components. When used as a...
-
Approximation of Sojourn Times of Gaussian Processes
We investigate the tail asymptotic behavior of the sojourn time for a large class of centered Gaussian processes X , in both continuous- and...
-
Limit laws for the diameter of a set of random points from a distribution supported by a smoothly bounded set
We study the asymptotic behavior of the maximum interpoint distance of random points in a d -dimensional set with a unique diameter and a smooth...
-
Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
Regularly varying stochastic processes model extreme dependence between process values at different locations and/or time points. For such stationary...